XLE Options History — April 2019

In April 2019, XLE traded between $32.98 and $34.27. ATM implied volatility averaged 17.4%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.6% (HV 20d: 15.8%). Max pain ranged from $33.00 to $33.75. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2019-04-26: Highest Volume — 121,074 contracts
  • 2019-04-16: Largest IV drop — 8.0% change
  • 2019-04-29: Highest IV Rank — 15.9%
  • 2019-04-29: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.57$32.98$34.27$33.48$33.08
Max Pain$33.31$33.00$33.75$33.00$33.75
ATM IV17.4%16.4%18.3%17.3%17.9%
Expected Move5.1%4.7%5.4%5.1%5.3%
HV 20d15.8%12.8%18.5%18.4%14.7%
HV 60d16.8%16.1%18.1%18.1%16.2%
IV Rank12.7%8.7%15.9%12.1%14.7%
IV Percentile28.7%16.3%43.7%23.8%37.7%
Term Structure0.1%-0.5%0.5%0.2%0.1%
VWIV18.1%16.9%19.5%18.5%19.5%
Skew 25d3.1%2.9%3.4%3.3%3.0%
Skew 10d6.2%5.3%9.0%6.1%5.6%
Call IV 25d16.1%15.0%17.0%15.9%16.6%
Put IV 25d19.2%18.0%20.1%19.2%19.6%
Bid-Ask Spread %2.391.815.081.912.33
Gamma HHI0.080.060.190.070.08
Net GEX22.3M-20.6M74.3M32.2M-13.9M
Net DEX-271.9M-497.0M117.6M-369.8M78.6M
Net VEX-6.6M-7.1M-6.2M-6.3M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.403.533.531.84
Total Volume64,398.57125,440121,074115,45668,048
Total OI1,341,460.0951,148,3721,459,4981,299,9321,245,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$33.48$33.0017.3%5.1%18.4%12.1%18.5%3.3%0.2%32.2M-369.8M-6.3M3.531.9125,50689,950672,280627,652
2019-04-02$33.27$33.0017.5%5.0%18.5%13.0%17.5%3.2%0.1%21.0M-218.1M-7.0M1.432.1614,13420,144680,426705,298
2019-04-03$32.98$33.0018.0%5.2%18.1%14.7%18.9%3.1%0.2%8.2M-85.9M-7.0M1.202.1229,16035,060684,132710,618
2019-04-04$33.17$33.0017.5%5.2%18.2%12.9%19.1%3.2%0.2%16.3M-156.2M-7.1M1.162.4220,83624,114695,264735,660
2019-04-05$33.74$33.0016.7%5.0%17.2%9.9%16.9%3.2%0.2%41.1M-455.3M-7.0M0.525.0854,64028,514698,866739,060
2019-04-08$33.91$33.0017.2%5.0%16.5%11.9%17.3%3.3%0.0%45.2M-497.0M-6.9M0.402.0251,41420,354699,752698,056
2019-04-09$33.54$33.0018.1%5.3%17.0%15.4%17.8%3.4%0.1%34.5M-326.5M-6.9M0.602.0624,31414,636719,230708,158
2019-04-10$33.67$33.0017.5%5.2%16.8%13.2%18.0%3.3%0.5%39.5M-393.5M-6.9M1.031.8225,71226,392727,074714,628
2019-04-11$33.66$33.0017.9%5.2%16.8%14.5%18.5%3.3%0.5%37.8M-382.4M-6.8M1.242.2723,87229,706729,102717,764
2019-04-12$33.74$33.5017.7%5.2%16.4%13.9%17.6%3.0%0.4%74.3M-437.7M-6.7M0.511.8141,67221,146734,074725,424
2019-04-15$33.56$33.0018.1%5.2%15.7%15.1%18.4%3.2%0.1%23.4M-310.7M-6.6M0.622.0415,7289,712698,836686,992
2019-04-16$33.76$33.5016.6%4.8%15.6%9.6%17.8%3.1%0.4%34.6M-402.3M-6.5M0.701.9719,52213,630706,570692,110
2019-04-17$33.77$33.5016.4%4.7%14.4%8.7%17.2%2.9%0.5%37.3M-407.0M-6.5M0.922.0223,84221,902711,990698,518
2019-04-18$33.64$33.5016.4%4.7%14.4%8.9%17.2%3.0%-0.2%14.1M-349.1M-6.4M0.992.0532,72232,252716,880705,328
2019-04-22$34.27$33.5016.7%4.8%12.9%9.9%17.2%3.1%-0.3%20.3M-425.9M-6.2M1.622.4142,48868,672508,186640,186
2019-04-23$34.26$33.5016.6%4.8%12.8%9.6%16.9%2.9%-0.3%25.4M-427.7M-6.3M0.632.5041,63026,388523,304654,020
2019-04-24$33.73$33.5017.7%5.1%13.7%13.8%18.6%3.3%-0.5%9.9M-187.4M-6.4M1.843.2027,58450,890518,036667,890
2019-04-25$33.66$33.7517.3%5.0%13.6%12.2%18.9%2.9%-0.4%2.0M-140.9M-6.5M1.512.9526,03039,334526,724692,892
2019-04-26$33.02$33.7518.2%5.3%15.4%15.8%18.8%3.1%-0.4%-20.6M117.6M-6.5M1.552.5247,55673,518532,706709,660
2019-04-29$33.12$33.7518.3%5.4%15.4%15.9%18.8%3.0%0.1%-13.9M67.6M-6.5M0.422.4534,95814,688518,512693,770
2019-04-30$33.08$33.7517.9%5.3%14.7%14.7%19.5%3.0%0.1%-13.9M78.6M-6.5M1.842.3323,99644,052543,228701,806